A numerical method for solving snapping out Brownian motion in 2D bounded domains.
Ryan D. SchummPaul C. BressloffPublished in: J. Comput. Phys. (2023)
Keyphrases
- brownian motion
- differential equations
- numerical methods
- dynamical systems
- stochastic process
- partial differential equations
- optimal control
- diffusion process
- poisson process
- vector valued
- stochastic processes
- cost function
- heavy traffic
- queue length
- closed form solutions
- machine learning
- closed form
- scale space
- image analysis